Seemingly unrelated regression on the autoregressive (Ar(p)) singular equation system
研究了每个方程带有自回归误差过程的奇异方程系统的似不相关回归估计，发现参数估计通常不具不变性，但在特定模型约束下不变性得以保持，且单方程广义最小二乘估计等价于系统估计。
This paper studies the estimation of seemingly unrelated regressions (SUR) of singular equation systems with an autoregressive error process (AR(p)) for each equation.Parameter estimates of the autoregressive singular equation system are not generally invariant to the equation deleted. Under the model specification restriction on the autoregressive parameters, the invariance property is preserved, and this paper shows that a single equation generalized least squares (GLS) estimation for a general autoregressive error process is equivalent to the SURGLS estimation of the AR(p) singular equation system.